Identifying Coefficients in the Spectral Representation for First Passage Time Distributions
- 1 January 1987
- journal article
- research article
- Published by Cambridge University Press (CUP) in Probability in the Engineering and Informational Sciences
- Vol. 1 (1) , 69-74
- https://doi.org/10.1017/s0269964800000309
Abstract
The spectral approach to first passage time distributions for Markov processes requires knowledge of the eigenvalues and eigenvectors of the infinitesimal generator matrix. We demonstrate that in many cases knowledge of the eigenvalues alone is sufficient to compute the first passage time distribution.Keywords
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